A closed-form solution for options with stochastic volatility with applications to bond and currency options (1993)

by Steven L. Heston
Venue:Review of Financial Studies
Citations:706 - 4 self

Active Bibliography

59 Testing Option Pricing Models – David S. Bates
5 Pricing stock options under stochastic volatility and stochastic interest rates with efficient method . . . – George J. Jiang, Pieter J. van der Sluis - 1998
3 Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates – J. Jiang, Pieter J. van der Sluis, George J. Jiang - 2000
Les organisations-partenaires / The Partner Organizations – Mark Broadie, Jérôme Detemple, Eric Ghysels, Olivier Torrès, Octobre Cirano, École Des Hautes Études Commerciales
17 The Risk Premium of Volatility Implicit in Currency Options – Dajiang Guo, Centre Risk Advisors - 1998
212 Stochastic Volatility – Eric Ghysels, Andrew Harvey, Eric Renault - 1995
32 Continuous-time methods in finance: A review and an assessment – Suresh M. Sundaresan - 2000
33 A Closed-Form GARCH Option Pricing Model – Steven L. Heston, Saikat Nandi - 1999
Financial regime-switching vector auto-regression – Mark S. Tenney - 2005
6 The Predictive Power of Implied Stochastic Variance from Currency Options – Dajiang Guo, David Bates, Charles Cao, Jin-chuan Duan, Robert Engle, Alfred Haug, Walid Hejazi, John Hull, Raymond Kan, George Kirikos, Hans-jurgen Knoch, Gary Koop, Chenghu Ma, Steve Mo, Qi Li, John Parkinson, Graham Pugh, Ken Vetzal, Tan Wang, Ralph Winter, Participants At - 1996
6 Stochastic Volatility – David G. Hobson - 1996
Intertemporal Asset Pricing Theory – Darrell Duffie - 2002
Discussion – Jason Wei
Overstatement of Implied Variance in the Dollar/Yen Currency Option Market – Dajiang Guo, First Canadian Place, James Pes, Alan White, Xiaodong Zhu I Also, Thank Werner Antweiler, David Bates, Charles Cao, Jin-chuan Duan, Robert Engle, Walid Hejazi, Steve Heston, Raymond Kan, Hans-jurgen Knoch, Gary Koop, Chenghu Ma, Steve Mo, Leo Michelis, Qi Li, John Parkinson, Graham Pugh, Ken Vetzal, Tan Wang, Ralph Winter - 1996
Review of Option Pricing under Stochastic Volatility and Lévy Processes – James Latimer Taylor - 2004
196 The Variance Gamma Process and Option Pricing. – Dilip B. Madan, Peter Carr, Eric C. Chang - 1998
Key words: Discrete Asian Options, Homogeneity, Crank-Nicholson, Non proportional – Eric Benhamou Y, Re Duguet Z, Dividends Smile
2 Option pricing with Levy Process – Eric Benhamou
42 Complete Models with Stochastic Volatility – David G. Hobson, L.C.G. Rogers - 1996